People make rudders with foam core all the time. Ply is easier, because as you shape it, the plies give you a good visual guide as to how fair your surface is. If you have a good eye, you can build with foam and save weight. Glassing in the tabs with cloth and thickened epoxy to fill voids will give you a solid rudder that is lighter than a ply core. Just make sure you use a foam that is dense enough, at least 8-10lb/cubic foot density.